Index futures arbitrage and fair value as an indicator - Traders Hideout | futures io | futures trading
futures io futures trading

Index futures arbitrage and fair value as an indicator
Updated: Views / Replies:465 / 2
Created: by Gianni78bari Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Thread Tools

Index futures arbitrage and fair value as an indicator

Bari, Italy
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Emini ES
Posts: 69 since May 2018
Thanks: 98 given, 23 received

Index futures arbitrage and fair value as an indicator

Please help me understand 'cause I can't by myself-
This article:
talks about index futures arbitrage (selling index futures and buying the underlying stocks if futures trade at a premium, or the reverse if futures trade at a discount, relating to their fair value, i.e. spot price plus interest and minus dividends lost over a certain period of time).
E.g. if futures trade at premium I sell short futures contract and I buy stocks in index; at expiration I will deliver stocks and I'll profit from difference between the value of futures contract and the value of stocks.
How can it work since the contracts are settled by cash?My counterpart doesn't accept the basket of stocks but a cash settlement.
Index arbitrage can really affect both spot price and futures price? And in this case is it possible to predict the opening direction using index futures, as it is stated in the article?
In this regard is there someone who uses also fair value in his strategy?
Thank you very much

Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

Bari, Italy
Trading Experience: Beginner
Platform: NinjaTrader
Favorite Futures: Emini ES
Posts: 69 since May 2018
Thanks: 98 given, 23 received

I found in this forum a link (Program Trading, Fair Value, Index Arbitrage Values - that maybe can clarify all of my doubts.
Anyway there's a lot to study.

The following user says Thank You to Gianni78bari for this post:


futures io > > > Index futures arbitrage and fair value as an indicator
Thread Tools

Upcoming Webinars and Events (4:30PM ET unless noted)

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now

Similar Threads
Thread Thread Starter Forum Replies Last Post
DAX premium, fair value rcabri Emini and Emicro Index Futures Trading 4 April 23rd, 2018 05:19 AM
Fair Market Value (FMV) Melissa Commodities Futures Trading 11 August 17th, 2016 05:41 PM
What controls the ES arbitrage value? rnorman Emini and Emicro Index Futures Trading 7 July 15th, 2015 08:55 PM
Fair Value as published by Mr Top Step trendisyourfriend Emini and Emicro Index Futures Trading 2 April 23rd, 2013 11:38 AM
Nomura Presents The Fair-Value Of European Currencies In A Euro Breakup Scenario Quick Summary News and Current Events 0 December 5th, 2011 02:10 PM

All times are GMT -4. The time now is 12:53 PM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432,
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts